期刊名称：International Journal of Economics and Finance
印刷版ISSN：1916-971X
电子版ISSN：1916-9728
出版年度：2014
卷号：3
期号：5
页码：242
DOI：10.5539/ijef.v3n5p242
语种：English
出版社：Canadian Center of Science and Education
摘要：This article provided empirical evidence of existence of chaotic structures in the time series of Brent and WTI crude oil price returns, by means of the Phase Space Reconstruction Technique (PSRT) and fractal integral method. This paper analyzed the time series of oil prices, attained the fractal dimensions, positive Lyapunov exponents and Kolmogorov entropy, and thereby identified the existence of chaos in the markets. Our results can deepen the understanding of crude oil dynamics and the complexity of the analyzed markets.
